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Current Research
Commodity Spot Markets
Forward Curve Dynamics and Theory of Storage
Crude Oil and Refined Products, Gas, Electricity
Asset Management in Energy Companies
Agricultural Commodities and Seasonality
Coal, Shipping and Freight
Valuation of Physical Assets in the Commodity Industry
Valuation of Insurance Derivatives and Securitization of Catastrophic Risk
Complex and Exotic Options (Asian, Double-Barrier, Swing, Quanto)
Asset Price Modeling with Pure Jump (Levy) Processes
High-Frequency Data and Trading Volume
Hedge Funds Management and Risk Measures
Property Derivatives
Financial Markets and their Incompleteness
The examples of Weather Derivatives, Emissions and CO2 markets
Recent books
Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy, November 2008, Wiley Finance. 
Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy, January 2005, Wiley Finance
Co-editor of ''Selected Publications from the Bachelier World Congress, Paris 2000'', Springer Verlag, 2001
"Weather and Insurance Derivatives" Publisher: RISK Books, 1999
Published Papers
- "Commodities and Numéraire", 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
- "Realized Variance Options and Convex Orders", 2010, Quantitative Finance
- "On Pricing Risky Loans and Collateralized Fund Obligations", 2009, Journal of Credit Risk
- "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets", 2009, Energy Economics
- "Modelling Electricity Prices with Forward Looking Capacity Constraints", 2009, Applied Mathematical Finance
- "Modeling Commodity Prices under the CEV model", Winter 2009, Journal of Alternative Investments
- "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect", 2008, Journal of Banking and Finance
- "Valuation of default-sensitive claims under imperfect information", 2008, Finance and Stochastics
- "Correlations and the Pricing of Risks", 2008, Annals of Finance
- "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model", 2008, Applied Mathematical Finance
- "Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach", 2008, Journal of Banking and Finance
- "Seasonal and Stochastic Features in Commodity Forward Curves", 2007, Review of Derivatives Research
- "Water as the Next Commodity", 2007; Journal of Alternative Investments
- "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston
- "Self Decomposition and Option Pricing, 2007, Mathematical Finance
- "Understanding the Fine Structure of Electricity Prices", 2006, Journal of Business
- "Energy Commodity Prices: Is Mean-Reversion Dead?", 2005, Journal of Alternative Investments
- "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance
- "Pricing Options on Realized Variance", 2005, Finance and Stochastics
- "Soybean inventory and forward curves dynamics", 2005, Management Science
- "Alternative Approaches to Weather Derivative Valuation", 2005, Managerial Finance
- "From Local Volatility to Local Lévy Models", 2004, Quantitative Finance
- "Hedge Funds: A Copula Approach for Risk Management", 2004, in Risk Measures for the 21st Century, Wiley
- "Stochastic Volatility for Lévy Processes", 2003, Mathematical Finance
- "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification", 2003, Journal of Risk
- "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance
- "The Fine Structure of Asset Returns : An Empirical Investigation", 2002, Journal of Business
- "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics
- "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity", 2001, RISK, (with O. Vasicek)
- "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés
- "Pricing and Hedging in Incomplete Markets", 2001, Journal of Financial Economics
- "Time Changes for Lévy Processes", 2001, Mathematical Finance
- "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments
- "Asset Prices are Brownian Motion : only in Business Time", 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company
- "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers
- "Order Flow, Transaction Clock and Normality of Asset Returns", 2000, The Journal of Finance
- "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books
- "Pricing Power Derivatives", 1998, RISK
- "On the Behavior of the Long Term Rate in a No Arbitrage Framework", 1998, Review of Derivatives Research
- "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance: Mathematics and Economics
- "Portfolio Optimization and Contingent Claim Pricing With Differential Information", 1997, Stochastics and Stochastic Reports
- "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computional Economics
- "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", 1996, Mathematical Finance
- "Stochastic Subordination", 1996, RISK
- "Insurance Risk Securitization and CAT Insurance Derivatives", 1996, Financial Derivatives and Risk Management
- "Changes of Numéraire, Changes of Probability Measures and Option Pricing" 1995, Journal of Applied Probablity
- "Domino Effect: Inverting the Laplace Transform", 1995, RISK
- "Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach", 1995, Journal of Fixed Income
- "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance
- "Catastrophe Calls", 1994, RISK
- "An Asian Option Approach to the Valuation of Insurance Futures Contracts", 1994, Review of Futures Markets
- "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps", 1994, Advances in Options and Futures Research
- "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance
- "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper
- "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences
- "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK
- "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance
- "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings
- "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Paris Panthéon Sorbonne PhD Dissert)
- "Interest Rate Risk Management : Beyond Duration and Convexity", 1988, Caisse des Dépôts Technical Report
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